Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing of Proposed Rule Change Relating to Amendments to the ICE Clear Europe Collateral and Haircut Procedures, 55879-55881 [2021-21866]
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Federal Register / Vol. 86, No. 192 / Thursday, October 7, 2021 / Notices
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approved pursuant to Exchange Act
Section 19(b)(2)(D)(ii).70 The
Commission disagrees with the
Sponsor’s assertions that: (1) Because
the Approval Order is stayed, ‘‘the
Commission did not effectively approve
or disapprove [the Proposal] by the
240th day’’ and therefore the proposal
has been deemed approved; 71 and (2)
the Commission’s discretionary review
of the order by delegated authority
conflicts with the purpose and language
of the statute.72
The Commission complied with the
requirements of the statute. Section
19(b)(2)(D) requires only that the
Commission ‘‘issue an order’’ approving
or disapproving the proposed rule
change within 240 days. The Approval
Order was issued within that period.
Although orders issued by delegated
authority are issued by Commission
staff, they are issued with the full
authority of the Commission and are
signed by the Secretary’s office on
behalf of the Commission. Section 4A of
the Exchange Act authorizes the
Commission to delegate certain
functions—including approval or
disapproval of proposed rule changes
under Section 19—to a ‘‘division of the
Commission.’’ 73 And the Commission’s
Rules of Practice make clear that ‘‘an
action made pursuant to delegated
authority shall have immediate effect
and be deemed the action of the
Commission.’’ 74
70 See Volatility Shares 1 at 4. Section 19(b) of the
Exchange Act requires the Commission to ‘‘issue an
order’’ approving or disapproving a proposed rule
change within, at most, 240 days of the proposed
rule change’s filing. See 15 U.S.C. 78s(b)(2)(B)(ii).
If the Commission fails to issue an order within that
period, the proposed rule change is deemed to have
been approved. See 15 U.S.C. 78s(b)(2)(D).
71 See Volatility Shares 1 at 4. The Sponsor cites
this proposal as having been deemed approved
since the relevant period had not yet elapsed for
CboeBZX–2020–070 when it made its argument. It
states that CboeBZX–2020–070 would also be
deemed approved unless the Commission acted by
May 21, 2021.
72 See Volatility Shares 1 at 2.
73 15 U.S.C. 78d–1(a).
74 Commission Rule of Practice 431(e), 17 CFR
201.431(e). See also, e.g., Rule of Practice 430(c), 17
CFR 201.430(c) (referring to ‘‘a final order entered
pursuant to [delegated authority]’’); Rule of Practice
431(f), 17 CFR 201.431(f) (giving an order by
delegated authority operative effect, even when
review has been sought, until a person receives
actual notice that it was been stayed, modified, or
reversed on review). Moreover, as the Commission
has previously explained, Congress was aware of
the Commission’s ability to delegate authority to
approve SRO rule filings when the time restrictions
in Exchange Act Section 19(b)(2)(D) were enacted.
And to construe Section 19(b)(2), as the Sponsor
does, to require Commission review of an order by
delegated authority to be completed within 240
days ‘‘would undermine both the specific deadlines
set forth in the statute and the Commission’s ability
to delegate functions. Nor is such a construction
necessary to fulfill Congress’s purpose in enacting
the deadlines to ‘‘streamline’’ the rule filing
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IV. Conclusion
For the foregoing reasons, the
Commission finds that the proposed
rule change is consistent with the Act
and the rules and regulations
thereunder applicable to a national
securities exchange.
It is therefore ordered, pursuant to
Rule 431 of the Commission’s Rules of
Practice, that the earlier action taken by
delegated authority, Securities Exchange
Act Release No. 91265 (March 5, 2021),
86 FR 13922 (March 11, 2021), is set
aside and, pursuant to Section 19(b)(2)
of the Act, the proposed rule change
(SR–CboeBZX–2020–053), as modified
by Amendment Nos. 2 and 4, hereby is
approved.
By the Commission.
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021–21880 Filed 10–6–21; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–93236; File No. SR–ICEEU–
2021–018]
Self-Regulatory Organizations; ICE
Clear Europe Limited; Notice of Filing
of Proposed Rule Change Relating to
Amendments to the ICE Clear Europe
Collateral and Haircut Procedures
October 1, 2021.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on
September 20, 2021, ICE Clear Europe
Limited (‘‘ICE Clear Europe’’ or the
‘‘Clearing House’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
changes described in Items I, II and III
below, which Items have been prepared
primarily by ICE Clear Europe. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
process. With rare exception, rule filings are
decided, by delegated authority or otherwise,
within 240 days. See Securities Exchange Act
Release Nos. 88493 (Mar. 27, 2020), 85 FR 18617
(Apr. 2, 2020) (Order Affirming Action by Delegated
Authority and Disapproving Proposed Rule Changes
Related to Connectivity and Port Fee in the Matter
BOX Exchange LLC) at 18626; and 82727 (Feb. 15,
2018), 83 FR 7793 (Feb. 22, 2017) (Order Setting
Aside Action by Delegated Authority and
Disapproving a Proposed Rule Change, as Modified
by Amendment Nos. 1 and 2, Regarding the
Acquisition of CHX Holdings, Inc. by North
America Casin Holdings, Inc.) at 7799.
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
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55879
I. Clearing Agency’s Statement of the
Terms of Substance of the Proposed
Rule Change
The principal purpose of the
proposed amendments is for ICE Clear
Europe to modify its Collateral and
Haircut Procedures (the ‘‘Collateral and
Haircut Procedures’’ or ‘‘Procedures’’) to
(i) include explicitly the formula used
for calculating Permitted Cover value,
and (ii) provide further details on the
Clearing House’s procedures for
monitoring data related to collateral
valuations, including the
responsibilities of its different teams.
II. Clearing Agency’s Statement of the
Purpose of, and Statutory Basis for, the
Proposed Rule Change
In its filing with the Commission, ICE
Clear Europe included statements
concerning the purpose of and basis for
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. ICE
Clear Europe has prepared summaries,
set forth in sections (A), (B), and (C)
below, of the most significant aspects of
such statements.
(A) Clearing Agency’s Statement of the
Purpose of, and Statutory Basis for, the
Proposed Rule Change
(a) Purpose
ICE Clear Europe is proposing to
revise the Collateral and Haircut
Procedures to state explicitly the
formula used by the Clearing House for
calculating the value of Permitted Cover
provided by Clearing Members in
respect of margin and guaranty fund
requirements. The formula would
provide that cover value is equal to
Nominal * Price/100 * (1¥Haircut) +
Nominal * Accrued, where price is
clean and accrued is expressed in %.
Further to this description of the
Permitted Cover value calculation, the
changes would also state that as a matter
of standard practice at the Clearing
House, Treasuries would be given no
cover value 2 business days prior to
maturity and a cash call would be
issued if a Member’s account is in
deficit. Additionally, the amendments
would state that accrued interest would
lose value one day prior to the coupon
pay date. These changes reflect existing
practice at ICE Clear Europe with
respect to the valuation of Permitted
Cover and are intended only to
document that practice more clearly.
The amendments would also update
the Clearing House’s processes for
monitoring data related to collateral
pricing and would describe the roles of
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Federal Register / Vol. 86, No. 192 / Thursday, October 7, 2021 / Notices
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various teams tasked with such
monitoring. Specifically, the
amendments would reflect that the
System Operations team checks end of
day collateral pricing. The amendments
would state that the Credit team has the
controls to monitor End of Day market
data that the System Operations team
uses to value collateral against
thresholds to ensure that the data is not
‘‘stale’’. Additionally, the amendment
would provide that the Treasury team
reconciles and confirms the daily
bilateral collateral positions (nominal
amounts). These amendments would
not reflect a change in current practice,
but are intended to clarify relevant
documentation.
Finally, the description of the scope
of the Collateral and Haircut Procedures
would be revised to remove an incorrect
statement that the Procedures do not
address intraday and end of day
valuation of collateral.
(b) Statutory Basis
ICE Clear Europe believes that the
proposed amendments to the Collateral
and Haircut Procedures are consistent
with the requirements of Section 17A of
the Act 3 and the regulations thereunder
applicable to it. In particular, Section
17A(b)(3)(F) of the Act 4 requires, among
other things, that the rules of a clearing
agency be designed to promote the
prompt and accurate clearance and
settlement of securities transactions
and, to the extent applicable, derivative
agreements, contracts, and transactions,
the safeguarding of securities and funds
in the custody or control of the clearing
agency or for which it is responsible,
and the protection of investors and the
public interest.
The proposed changes to the
Procedures are designed to clarify the
documentation of certain existing
practices of the Clearing House around
valuation of Permitted Cover.
Specifically, the amendments would
update and clarify the processes,
controls and escalations with respect to
collateral valuation data monitoring as
well as outline the responsibilities of
the Clearing House’s teams in relation to
such monitoring. They would also state
the formula used by the Clearing House
for calculating Permitted Cover value.
The amendments would thus facilitate
the operation of the Clearing House’s
margin framework and overall risk
management procedures, and thereby
promote the stability of the Clearing
House and the prompt and accurate
clearance and settlement of cleared
contracts. The amendments are for these
3 15
4 15
U.S.C. 78q–1.
U.S.C. 78q–1(b)(3)(F).
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reasons also generally consistent with
the protection of investors and the
public interest in the safe operation of
the Clearing House. (ICE Clear Europe
would not expect the amendments to
affect the safeguarding of securities and
funds in ICE Clear Europe’s custody or
control or for which it is responsible.)
Accordingly, the amendments satisfy
the requirements of Section
17A(b)(3)(F).5
The amendments to the Collateral and
Haircut Procedures are also consistent
with relevant provisions of Rule 17Ad–
22. Rule 17Ad–22(e)(5) requires the
clearing agency to ‘‘set and enforce
appropriately conservative haircuts and
concentration limits if [it] requires
collateral to manage its or its
participants’ credit exposure.’’ 6 Rule
17Ad–22(e)(6)(iv) 7 requires clearing
agencies to maintain a risk-based margin
model that, among other things, ‘‘uses
reliable sources of timely price data and
uses procedures and sound valuation
models for addressing circumstances in
which pricing data are not readily
available or reliable’’ The amendments
would clarify the documentation of the
Clearing House’s procedures for valuing
collateral and monitoring relevant
valuation and pricing data. As such, the
amendments are consistent with the
requirements of Rule 17Ad–22.
Rule 17Ad–22(e)(2) 8 requires clearing
agencies to establish reasonably
designed policies and procedures to
provide for governance arrangements
that are clear and transparent and
specify clear and direct lines of
responsibility. The amendments to the
Collateral and Haircut Procedures
would clarify the responsibilities of the
Clearing House’s teams in relation to
collateral valuation data monitoring. In
ICE Clear Europe’s view, the
amendments are therefore consistent
with the requirements of Rule 17Ad–
22(e)(2).9
(B) Clearing Agency’s Statement on
Burden on Competition
ICE Clear Europe does not believe the
proposed amendments would have any
impact, or impose any burden, on
competition not necessary or
appropriate in furtherance of the
purposes of the Act. The amendments
are being adopted to update the Clearing
House’s Collateral and Haircut
Procedures, which describe the Clearing
House’s internal processes for collateral
and haircut risk management as
presented in the ICE Clear Europe’s
Collateral and Haircut Policy. The
amendments are intended to more
clearly document certain valuation
practices and are not intended to change
Clearing House practices. ICE Clear
Europe does not believe the
amendments would affect the costs of
clearing, the ability to market
participants to access clearing, or the
market for clearing services generally.
Therefore, ICE Clear Europe does not
believe the proposed rule change
imposes any burden on competition that
is inappropriate in furtherance of the
purposes of the Act.
(C) Clearing Agency’s Statement on
Comments on the Proposed Rule
Change Received From Members,
Participants or Others
Written comments relating to the
proposed amendments have not been
solicited or received by ICE Clear
Europe. ICE Clear Europe will notify the
Commission of any written comments
received with respect to the proposed
rule change and adoption.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of
publication of this notice in the Federal
Register or within such longer period
up to 90 days (i) as the Commission may
designate if it finds such longer period
to be appropriate and publishes its
reasons for so finding or (ii) as to which
the self-regulatory organization
consents, the Commission will:
(A) By order approve or disapprove
such proposed rule change, or
(B) institute proceedings to determine
whether the proposed rule change
should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
Electronic Comments
• Use the Commission’s internet
comment form (https://www.sec.gov/
rules/sro.shtml) or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
ICEEU–2021–018 on the subject line.
Paper Comments
5 15
U.S.C. 78q–1(b)(3)(F).
6 17 CFR 240.17Ad–22(e)(5).
7 17 CFR 240.17Ad–22(e)(6)(iv).
8 17 CFR 240.17Ad–22(e)(2).
9 17 CFR 240.17Ad–22(e)(2).
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• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, 100 F Street NE,
Washington, DC 20549–1090.
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Federal Register / Vol. 86, No. 192 / Thursday, October 7, 2021 / Notices
All submissions should refer to File
Number SR–ICEEU–2021–018. This file
number should be included on the
subject line if email is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
internet website (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for website viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE,
Washington, DC 20549, on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of such
filings will also be available for
inspection and copying at the principal
office of ICE Clear Europe and on ICE
Clear Europe’s website at https://
www.theice.com/clear-europe/
regulation.
All comments received will be posted
without change. Persons submitting
comments are cautioned that we do not
redact or edit personal identifying
information from comment submissions.
You should submit only information
that you wish to make available
publicly. All submissions should refer
to File Number SR–ICEEU–2021–018
and should be submitted on or before
October 28, 2021.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.10
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021–21866 Filed 10–6–21; 8:45 am]
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BILLING CODE 8011–01–P
10 17
CFR 200.30–3(a)(12).
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SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–93230; File No. SR–
CboeBZX–2020–070]
Self-Regulatory Organizations; Cboe
BZX Exchange, Inc.; Order Setting
Aside Action by Delegated Authority
and Approving a Proposed Rule
Change, as Modified by Amendment
Nos. 1 and 3, To List and Trade Shares
of the –1x Short VIX Futures ETF
Under BZX Rule 14.11(f)(4) (Trust
Issued Receipts)
October 1, 2021.
I. Introduction
On September 4, 2020, Cboe BZX
Exchange, Inc. (‘‘BZX’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’), pursuant to Section
19(b)(1) of the Securities Exchange Act
of 1934 (‘‘Act’’ or ‘‘Exchange Act’’) 1 and
Rule 19b–4 thereunder,2 a proposed rule
change to list and trade shares
(‘‘Shares’’) of the –1x Short VIX Futures
ETF (‘‘Fund’’), a series of VS Trust
(‘‘Trust’’), under BZX Rule 14.11(f)(4).3
On March 5, 2021, the Commission,
acting through authority delegated to
the Division of Trading and Markets
(‘‘Division’’),4 noticed the filing of
Amendment Nos. 1 and 3 and approved
the proposed rule change, as modified
by Amendment Nos. 1 and 3, on an
accelerated basis.5 On March 5, 2021,
the Assistant Secretary of the
Commission notified BZX that, pursuant
to Commission Rule of Practice 431,6
the Commission would review the
Division’s action pursuant to delegated
authority and that the Division’s action
pursuant to delegated authority was
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 The proposed rule change was published for
comment in the Federal Register on September 23,
2020. See Securities Exchange Act Release No.
89901 (Sept. 17, 2020), 85 FR 59836 (‘‘Notice’’). On
October 30, 2020, the Commission extended the
time period for Commission action on the proposed
rule change. See Securities Exchange Act Release
No. 90292, 85 FR 70678 (Nov. 5, 2020). On
December 14, 2020, the Commission instituted
proceedings pursuant to Section 19(b)(2)(B) of the
Act to determine whether to approve or disapprove
the proposed rule change. See Securities Exchange
Act Release No. 90659, 85 FR 82536 (Dec. 18, 2020)
(‘‘OIP’’). On January 28, 2021, the Exchange filed
Amendment No. 1 to the proposed rule change,
which replaced and superseded the proposed rule
change as originally filed. On February 16, 2021,
the Exchange submitted Amendment No. 2 to the
proposed rule change and, on February 19, 2021,
the Exchange withdrew Amendment No. 2. On
February 19, 2021, the Exchange filed partial
Amendment No. 3 to the proposed rule change.
4 17 CFR 200.30–3(a)(12).
5 See Securities Exchange Act Release No. 91264
(Mar. 5, 2021), 86 FR 13939 (Mar. 11, 2021)
(‘‘Approval Order’’).
6 17 CFR 201.431.
2 17
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55881
stayed until the Commission ordered
otherwise.7 On April 7, 2021, the
Commission issued a scheduling order,
pursuant to Commission Rule of
Practice 431, providing until May 7,
2021 for any party or other person to file
a written statement in support of, or in
opposition to, the Approval Order.8
The Commission has conducted a de
novo review of BZX’s proposal, giving
careful consideration to the entire
record, including all comments and
statements submitted, to determine
whether the proposal is consistent with
the requirements of the Act and the
rules and regulations thereunder that
are applicable to a national securities
exchange. Under Section 19(b)(2)(C) of
the Act, the Commission must approve
the proposed rule change of a selfregulatory organization (‘‘SRO’’) if the
Commission finds that the proposed
rule change is consistent with the
requirements of the Act and the
applicable rules and regulations
thereunder; if it does not make such a
finding, the Commission must
disapprove the proposed rule change.9
Additionally, under Rule 700(b)(3) of
the Commission’s Rules of Practice, the
‘‘burden to demonstrate that a proposed
rule change is consistent with the Act
and the rules and regulations issued
thereunder . . . is on the self-regulatory
organization that proposed the rule
change.’’ 10 The description of a
proposed rule change, its purpose and
operation, its effect, and a legal analysis
of its consistency with applicable
requirements must all be sufficiently
detailed and specific to support an
affirmative Commission finding.11 Any
failure of a self-regulatory organization
to provide the information required by
Rule 19b–4 and elicited on Form 19b–
4 may result in the Commission not
having a sufficient basis to make an
affirmative finding that a proposed rule
change is consistent with the Act and
the rules and regulations thereunder
that are applicable to the self-regulatory
organization.12
For the reasons discussed further
herein, BZX has met its burden to show
7 See letter from J. Matthew DeLesDernier,
Assistant Secretary, Commission, to Kyle Murray,
Vice President and Associate General Counsel, Cboe
Global Markets, dated March 5, 2021, available at
https://www.sec.gov/rules/sro/cboebzx/2018/3491264-letter-from-assistant-secretary.pdf.
8 See Securities Exchange Act Release No. 91502,
86 FR 19298 (Apr. 13, 2021). Comments on the
proposed rule change, including statements
concerning the Approval Order are available at:
https://www.sec.gov/comments/sr-cboebzx-2020070/srcboebzx2020070.htm.
9 15 U.S.C. 78s(b)(2)(C).
10 17 CFR 201.700(b)(3).
11 See id.
12 See id. See also 17 CFR 240.19b–4.
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]]>Agencies
[Federal Register Volume 86, Number 192 (Thursday, October 7, 2021)]
[Notices]
[Pages 55879-55881]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-21866]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-93236; File No. SR-ICEEU-2021-018]
Self-Regulatory Organizations; ICE Clear Europe Limited; Notice
of Filing of Proposed Rule Change Relating to Amendments to the ICE
Clear Europe Collateral and Haircut Procedures
October 1, 2021.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on September 20, 2021, ICE Clear Europe Limited (``ICE Clear Europe''
or the ``Clearing House'') filed with the Securities and Exchange
Commission (``Commission'') the proposed rule changes described in
Items I, II and III below, which Items have been prepared primarily by
ICE Clear Europe. The Commission is publishing this notice to solicit
comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change
The principal purpose of the proposed amendments is for ICE Clear
Europe to modify its Collateral and Haircut Procedures (the
``Collateral and Haircut Procedures'' or ``Procedures'') to (i) include
explicitly the formula used for calculating Permitted Cover value, and
(ii) provide further details on the Clearing House's procedures for
monitoring data related to collateral valuations, including the
responsibilities of its different teams.
II. Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
In its filing with the Commission, ICE Clear Europe included
statements concerning the purpose of and basis for the proposed rule
change and discussed any comments it received on the proposed rule
change. The text of these statements may be examined at the places
specified in Item IV below. ICE Clear Europe has prepared summaries,
set forth in sections (A), (B), and (C) below, of the most significant
aspects of such statements.
(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
(a) Purpose
ICE Clear Europe is proposing to revise the Collateral and Haircut
Procedures to state explicitly the formula used by the Clearing House
for calculating the value of Permitted Cover provided by Clearing
Members in respect of margin and guaranty fund requirements. The
formula would provide that cover value is equal to Nominal * Price/100
* (1-Haircut) + Nominal * Accrued, where price is clean and accrued is
expressed in %. Further to this description of the Permitted Cover
value calculation, the changes would also state that as a matter of
standard practice at the Clearing House, Treasuries would be given no
cover value 2 business days prior to maturity and a cash call would be
issued if a Member's account is in deficit. Additionally, the
amendments would state that accrued interest would lose value one day
prior to the coupon pay date. These changes reflect existing practice
at ICE Clear Europe with respect to the valuation of Permitted Cover
and are intended only to document that practice more clearly.
The amendments would also update the Clearing House's processes for
monitoring data related to collateral pricing and would describe the
roles of
[[Page 55880]]
various teams tasked with such monitoring. Specifically, the amendments
would reflect that the System Operations team checks end of day
collateral pricing. The amendments would state that the Credit team has
the controls to monitor End of Day market data that the System
Operations team uses to value collateral against thresholds to ensure
that the data is not ``stale''. Additionally, the amendment would
provide that the Treasury team reconciles and confirms the daily
bilateral collateral positions (nominal amounts). These amendments
would not reflect a change in current practice, but are intended to
clarify relevant documentation.
Finally, the description of the scope of the Collateral and Haircut
Procedures would be revised to remove an incorrect statement that the
Procedures do not address intraday and end of day valuation of
collateral.
(b) Statutory Basis
ICE Clear Europe believes that the proposed amendments to the
Collateral and Haircut Procedures are consistent with the requirements
of Section 17A of the Act \3\ and the regulations thereunder applicable
to it. In particular, Section 17A(b)(3)(F) of the Act \4\ requires,
among other things, that the rules of a clearing agency be designed to
promote the prompt and accurate clearance and settlement of securities
transactions and, to the extent applicable, derivative agreements,
contracts, and transactions, the safeguarding of securities and funds
in the custody or control of the clearing agency or for which it is
responsible, and the protection of investors and the public interest.
---------------------------------------------------------------------------
\3\ 15 U.S.C. 78q-1.
\4\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
The proposed changes to the Procedures are designed to clarify the
documentation of certain existing practices of the Clearing House
around valuation of Permitted Cover. Specifically, the amendments would
update and clarify the processes, controls and escalations with respect
to collateral valuation data monitoring as well as outline the
responsibilities of the Clearing House's teams in relation to such
monitoring. They would also state the formula used by the Clearing
House for calculating Permitted Cover value. The amendments would thus
facilitate the operation of the Clearing House's margin framework and
overall risk management procedures, and thereby promote the stability
of the Clearing House and the prompt and accurate clearance and
settlement of cleared contracts. The amendments are for these reasons
also generally consistent with the protection of investors and the
public interest in the safe operation of the Clearing House. (ICE Clear
Europe would not expect the amendments to affect the safeguarding of
securities and funds in ICE Clear Europe's custody or control or for
which it is responsible.) Accordingly, the amendments satisfy the
requirements of Section 17A(b)(3)(F).\5\
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\5\ 15 U.S.C. 78q-1(b)(3)(F).
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The amendments to the Collateral and Haircut Procedures are also
consistent with relevant provisions of Rule 17Ad-22. Rule 17Ad-22(e)(5)
requires the clearing agency to ``set and enforce appropriately
conservative haircuts and concentration limits if [it] requires
collateral to manage its or its participants' credit exposure.'' \6\
Rule 17Ad-22(e)(6)(iv) \7\ requires clearing agencies to maintain a
risk-based margin model that, among other things, ``uses reliable
sources of timely price data and uses procedures and sound valuation
models for addressing circumstances in which pricing data are not
readily available or reliable'' The amendments would clarify the
documentation of the Clearing House's procedures for valuing collateral
and monitoring relevant valuation and pricing data. As such, the
amendments are consistent with the requirements of Rule 17Ad-22.
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\6\ 17 CFR 240.17Ad-22(e)(5).
\7\ 17 CFR 240.17Ad-22(e)(6)(iv).
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Rule 17Ad-22(e)(2) \8\ requires clearing agencies to establish
reasonably designed policies and procedures to provide for governance
arrangements that are clear and transparent and specify clear and
direct lines of responsibility. The amendments to the Collateral and
Haircut Procedures would clarify the responsibilities of the Clearing
House's teams in relation to collateral valuation data monitoring. In
ICE Clear Europe's view, the amendments are therefore consistent with
the requirements of Rule 17Ad-22(e)(2).\9\
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\8\ 17 CFR 240.17Ad-22(e)(2).
\9\ 17 CFR 240.17Ad-22(e)(2).
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(B) Clearing Agency's Statement on Burden on Competition
ICE Clear Europe does not believe the proposed amendments would
have any impact, or impose any burden, on competition not necessary or
appropriate in furtherance of the purposes of the Act. The amendments
are being adopted to update the Clearing House's Collateral and Haircut
Procedures, which describe the Clearing House's internal processes for
collateral and haircut risk management as presented in the ICE Clear
Europe's Collateral and Haircut Policy. The amendments are intended to
more clearly document certain valuation practices and are not intended
to change Clearing House practices. ICE Clear Europe does not believe
the amendments would affect the costs of clearing, the ability to
market participants to access clearing, or the market for clearing
services generally. Therefore, ICE Clear Europe does not believe the
proposed rule change imposes any burden on competition that is
inappropriate in furtherance of the purposes of the Act.
(C) Clearing Agency's Statement on Comments on the Proposed Rule Change
Received From Members, Participants or Others
Written comments relating to the proposed amendments have not been
solicited or received by ICE Clear Europe. ICE Clear Europe will notify
the Commission of any written comments received with respect to the
proposed rule change and adoption.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) By order approve or disapprove such proposed rule change, or
(B) institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml) or
Send an email to [email protected]. Please include
File Number SR-ICEEU-2021-018 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.
[[Page 55881]]
All submissions should refer to File Number SR-ICEEU-2021-018. This
file number should be included on the subject line if email is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's internet website (https://www.sec.gov/rules/sro.shtml).
Copies of the submission, all subsequent amendments, all written
statements with respect to the proposed rule change that are filed with
the Commission, and all written communications relating to the proposed
rule change between the Commission and any person, other than those
that may be withheld from the public in accordance with the provisions
of 5 U.S.C. 552, will be available for website viewing and printing in
the Commission's Public Reference Room, 100 F Street NE, Washington, DC
20549, on official business days between the hours of 10:00 a.m. and
3:00 p.m. Copies of such filings will also be available for inspection
and copying at the principal office of ICE Clear Europe and on ICE
Clear Europe's website at https://www.theice.com/clear-europe/regulation.
All comments received will be posted without change. Persons
submitting comments are cautioned that we do not redact or edit
personal identifying information from comment submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-ICEEU-2021-018 and should be
submitted on or before October 28, 2021.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\10\
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\10\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-21866 Filed 10-6-21; 8:45 am]
BILLING CODE 8011-01-P
